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Overseas operations and corporate financial asset allocation

Liang, Shangkun; Niu, Yuhao; Wang, Sichao; Yuan, Chun - In: China journal of accounting research : CJAR 17 (2024) 4, pp. 1-30

Using data on Chinese listed companies for 2008-2018, we find that firms participating in overseas operations, proxied by overseas subsidiaries, generally have higher financial asset allocations than other firms. At the micro level, the effects are more pronounced when the parent company faces...

Persistent link: https://www.econbiz.de/10015134008

Ambiguity, limited market participation, and the cross-sectional stock return

Yuan, Yefang; Ling, Aifan; Hu, Zhijun - In: Journal of management science and engineering 9 (2024) 4, pp. 522-534

Using expected utility under uncertain probability theory (EUUP, Izhakian, 2017, 2020), we study whether the ambiguity …

Persistent link: https://www.econbiz.de/10015163368

Carry trade returns and segmented risk pricing

Schulze, Gordon - In: Atlantic economic journal : AEJ 49 (2021) 1, pp. 23-40

Persistent link: https://www.econbiz.de/10012542770

CoCDaR and mCoCDaR : new approach for measurement of systemic risk contributions

Ding, Rui; Uryasev, Stan - In: Journal of risk and financial management : JRFM 13 (2020) 11/270, pp. 1-18

Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an institution) systemic risk contribution measures and...

Persistent link: https://www.econbiz.de/10012389811

Inflation and risky investments

Laurila, Hannu; Ilomäki, Jukka - In: Journal of risk and financial management : JRFM 13 (2020) 12/329, pp. 1-10

The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk-free fiat money. The analysis concentrates on the effects...

Persistent link: https://www.econbiz.de/10012403996

A wavelet approach of investing behaviors and their effects on risk exposures

Mestre, Roman - In: Financial innovation : FIN 7 (2021), pp. 1-37

Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with several statistical issues. Moreover, the CAPM considers only one source of risk and...

Persistent link: https://www.econbiz.de/10012500129

Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...

Persistent link: https://www.econbiz.de/10014532413

Extending the forward systemic risk measure : do sector level variables matter?

Hanif, Hasan; Naveed, Muhammad; Ur Rehman, Mobeen - In: Cogent business & management 7 (2020) 1, pp. 1-12

Systemic risk is of concern for economic welfare as systemic financial crisis has the potential to inefficiently lower the supply of credit to the nonfinancial sector. Conventional systemic risk measures are parsimonious in nature and are used to assess the current systemic risk contributions of...

Persistent link: https://www.econbiz.de/10012632023

Patterns and impact of longitudinal measurement error for welfare receipt

Eggs, Johannes - 2016

Measurement error is a common phenomenon in the empirical sciences. Longitudinal data can especially be affected by it …, as measurement error can influence measures of change, which is one of the primary reasons for collecting longitudinal … data in panel surveys. However, measurement error in longitudinal data is rarely analysed. In this series of papers, the …

Persistent link: https://www.econbiz.de/10015202031

Evaluating core inflation measures : a statistical inference approach

Castanñeda, Juan Carlos; Chang, Rodrigo - In: Latin American journal of central banking : LAJCB 4 (2023) 4, pp. 1-19

We propose a framework for consistently evaluating core inflation measures via a straightforward application of sound statistical inference principles. Under this framework, inflation measures (both headline and core) are regarded as estimators tracking the economy's true, unobserved inflation...

Persistent link: https://www.econbiz.de/10014496895